Log Student’s t-distribution-based option sensitivities: Greeks for the Gosset formulae

European options can be priced when returns follow a log Student’s t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Student’s t-distribution a Gosset approach, in honour of W.S. Gosset. In this paper, we compare the Greeks for Gosset and Black–Scholes formulae and we discuss implementation. The t-distribution requires a shape parameter to match the ‘fat tails’ of …